Dr. Michele Pioppi is a financial risk quantitative analyst at UniCredit since 2012. His areas of interest are counterparty credit risk and analytical derivatives of XVA. Before moving to the banking sector, he spent 10 years as a researcher in experimental particle physics.
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.